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Dynamic Conditional Correlation: On Properties and Estimation

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Cited by:

  1. Khalfaoui, Rabeh, 2018. "Oil–gold time varying nexus: A time–frequency analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 86-104.
  2. Conrad, Christian & Stuermer, Karin, 2017. "On the economic determinants of optimal stock-bond portfolios: international evidence," Working Papers 0636, University of Heidelberg, Department of Economics.
  3. Francq, Christian & Zakoian, Jean-Michel, 2014. "Estimating multivariate GARCH and stochastic correlation models equation by equation," MPRA Paper 54250, University Library of Munich, Germany.
  4. Mugrabi, Farah Daniela, 2023. "Detecting and dating possibly distinct structural breaks in the covariance structure of financial assets," LIDAM Discussion Papers LFIN 2023001, Université catholique de Louvain, Louvain Finance (LFIN).
  5. Morana, Claudio, 2017. "Macroeconomic and financial effects of oil price shocks: Evidence for the euro area," Economic Modelling, Elsevier, vol. 64(C), pages 82-96.
  6. Mensi, Walid & Hammoudeh, Shawkat & Al-Jarrah, Idries Mohammad Wanas & Sensoy, Ahmet & Kang, Sang Hoon, 2017. "Dynamic risk spillovers between gold, oil prices and conventional, sustainability and Islamic equity aggregates and sectors with portfolio implications," Energy Economics, Elsevier, vol. 67(C), pages 454-475.
  7. Chia-Lin Chang & Chia-Ping Liu & Michael McAleer, 2016. "Volatility Spillovers for Spot, Futures, and ETF Prices in Energy and Agriculture," Tinbergen Institute Discussion Papers 16-046/III, Tinbergen Institute.
  8. Abuzayed, Bana & Al-Fayoumi, Nedal & Bouri, Elie, 2020. "Co-movement across european stock and real estate markets," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 189-208.
  9. Francq, Christian & Sucarrat, Genaro, 2017. "An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns," Journal of Multivariate Analysis, Elsevier, vol. 153(C), pages 16-32.
  10. Kanamura, Takashi, 2016. "Role of carbon swap trading and energy prices in price correlations and volatilities between carbon markets," Energy Economics, Elsevier, vol. 54(C), pages 204-212.
  11. Anne Péguin-Feissolle & Bilel Sanhaji, 2016. "Tests of the Constancy of Conditional Correlations of Unknown Functional Form in Multivariate GARCH Models," Annals of Economics and Statistics, GENES, issue 123-124, pages 77-101.
  12. Yilmaz, Mustafa K. & Sensoy, Ahmet & Ozturk, Kevser & Hacihasanoglu, Erk, 2015. "Cross-sectoral interactions in Islamic equity markets," Pacific-Basin Finance Journal, Elsevier, vol. 32(C), pages 1-20.
  13. Anna Pauliina Sandqvist, 2017. "Dynamics of sectoral business cycle comovement," Applied Economics, Taylor & Francis Journals, vol. 49(47), pages 4742-4759, October.
  14. Bauwens, Luc & Otranto, Edoardo, 2020. "Nonlinearities and regimes in conditional correlations with different dynamics," Journal of Econometrics, Elsevier, vol. 217(2), pages 496-522.
  15. Bauwens, Luc & Xu, Yongdeng, 2023. "DCC- and DECO-HEAVY: Multivariate GARCH models based on realized variances and correlations," International Journal of Forecasting, Elsevier, vol. 39(2), pages 938-955.
  16. Geert Dhaene & Piet Sercu & Jianbin Wu, 2022. "Volatility spillovers: A sparse multivariate GARCH approach with an application to commodity markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(5), pages 868-887, May.
  17. Jose Arreola Hernandez & Sang Hoon Kang & Seong-Min Yoon, 2022. "Spillovers and portfolio optimization of precious metals and global/regional equity markets," Applied Economics, Taylor & Francis Journals, vol. 54(20), pages 2320-2342, April.
  18. Ariana Paola Cortés Ángel & Mustafa Hakan Eratalay, 2022. "Deep diving into the S&P Europe 350 index network and its reaction to COVID-19," Journal of Computational Social Science, Springer, vol. 5(2), pages 1343-1408, November.
  19. Mensi, Walid & Vo, Xuan Vinh & Kang, Sang Hoon, 2021. "Precious metals, oil, and ASEAN stock markets: From global financial crisis to global health crisis," Resources Policy, Elsevier, vol. 73(C).
  20. Chabi-Yo, Fousseni & Huggenberger, Markus & Weigert, Florian, 2021. "Multivariate crash risk," CFR Working Papers 21-07, University of Cologne, Centre for Financial Research (CFR).
  21. BAUWENS Luc, & XU Yongdeng,, 2019. "DCC-HEAVY: A multivariate GARCH model based on realized variances and correlations," LIDAM Discussion Papers CORE 2019025, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  22. Sensoy, Ahmet & Hacihasanoglu, Erk & Nguyen, Duc Khuong, 2015. "Dynamic convergence of commodity futures: Not all types of commodities are alike," Resources Policy, Elsevier, vol. 44(C), pages 150-160.
  23. Oussama Kchaou & Makram Bellalah & Sofiane Tahi, 2022. "Transmission of the Greek crisis on the sovereign debt markets in the euro area," Annals of Operations Research, Springer, vol. 313(2), pages 1117-1139, June.
  24. Jean-Claude Hessing & Rutger-Jan Lange & Daniel Ralph, 2022. "This article establishes the Poisson optional stopping times (POST) method by Lange et al. (2020) as a near-universal method for solving liquidity-constrained American options, or, equivalently, penal," Tinbergen Institute Discussion Papers 22-007/IV, Tinbergen Institute.
  25. Bauwens, Luc & Braione, Manuela & Storti, Giuseppe, 2017. "A dynamic component model for forecasting high-dimensional realized covariance matrices," Econometrics and Statistics, Elsevier, vol. 1(C), pages 40-61.
  26. Ahmet Sensoy, 2016. "Systematic Risk in Conventional and Islamic Equity Markets," International Review of Finance, International Review of Finance Ltd., vol. 16(3), pages 457-466, September.
  27. Ilya Archakov & Peter Reinhard Hansen & Asger Lunde, 2020. "A Multivariate Realized GARCH Model," Papers 2012.02708, arXiv.org, revised May 2024.
  28. Sensoy, Ahmet & Sobaci, Cihat, 2014. "Effects of volatility shocks on the dynamic linkages between exchange rate, interest rate and the stock market: The case of Turkey," Economic Modelling, Elsevier, vol. 43(C), pages 448-457.
  29. Francq, Christian & Zakoïan, Jean-Michel, 2020. "Virtual Historical Simulation for estimating the conditional VaR of large portfolios," Journal of Econometrics, Elsevier, vol. 217(2), pages 356-380.
  30. Alao, Rasheed O. & Payaslioglu, Cem, 2021. "Oil price uncertainty and industrial production in oil-exporting countries," Resources Policy, Elsevier, vol. 70(C).
  31. Sio Chong U & Jacky So & Deng Ding & Lihong Liu, 2016. "An efficient Fourier expansion method for the calculation of value-at-risk: Contributions of extra-ordinary risks," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(01), pages 1-27, March.
  32. Bodnar, Taras & Hautsch, Nikolaus, 2016. "Dynamic conditional correlation multiplicative error processes," Journal of Empirical Finance, Elsevier, vol. 36(C), pages 41-67.
  33. Massimiliano Caporin & Michael McAleer, 2013. "Ten Things You Should Know about the Dynamic Conditional Correlation Representation," Econometrics, MDPI, vol. 1(1), pages 1-12, June.
  34. Sihong Chen & Qi Li & Qiaoyu Wang & Yu Yvette Zhang, 2023. "Multivariate models of commodity futures markets: a dynamic copula approach," Empirical Economics, Springer, vol. 64(6), pages 3037-3057, June.
  35. de Almeida, Daniel & Hotta, Luiz K. & Ruiz, Esther, 2018. "MGARCH models: Trade-off between feasibility and flexibility," International Journal of Forecasting, Elsevier, vol. 34(1), pages 45-63.
  36. Escribano, Alvaro & Sucarrat, Genaro, 2018. "Equation-by-equation estimation of multivariate periodic electricity price volatility," Energy Economics, Elsevier, vol. 74(C), pages 287-298.
  37. Chen Tong & Peter Reinhard Hansen & Ilya Archakov, 2024. "Cluster GARCH," Papers 2406.06860, arXiv.org.
  38. Raddant, Matthias & Kenett, Dror Y., 2021. "Interconnectedness in the global financial market," Journal of International Money and Finance, Elsevier, vol. 110(C).
  39. Storti, Giuseppe & Wang, Chao, 2022. "A multivariate semi-parametric portfolio risk optimization and forecasting framework," MPRA Paper 115266, University Library of Munich, Germany.
  40. Caporin, Massimiliano & Chang, Chia-Lin & McAleer, Michael, 2019. "Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data?," International Review of Economics & Finance, Elsevier, vol. 59(C), pages 50-70.
  41. Jilber Urbina & Miguel Santolino & Montserrat Guillen, 2021. "Covariance Principle for Capital Allocation: A Time-Varying Approach," Mathematics, MDPI, vol. 9(16), pages 1-13, August.
  42. Irene Henriques & Perry Sadorsky, 2018. "Can Bitcoin Replace Gold in an Investment Portfolio?," JRFM, MDPI, vol. 11(3), pages 1-19, August.
  43. Fernandez-Diaz, Jose M. & Morley, Bruce, 2019. "Interdependence among agricultural commodity markets, macroeconomic factors, crude oil and commodity index," Research in International Business and Finance, Elsevier, vol. 47(C), pages 174-194.
  44. Kawakatsu Hiroyuki, 2021. "Simple Multivariate Conditional Covariance Dynamics Using Hyperbolically Weighted Moving Averages," Journal of Econometric Methods, De Gruyter, vol. 10(1), pages 33-52, January.
  45. Marco Barassi & Lajos Horváth & Yuqian Zhao, 2020. "Change‐Point Detection in the Conditional Correlation Structure of Multivariate Volatility Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(2), pages 340-349, April.
  46. Fresoli, Diego E. & Ruiz, Esther, 2016. "The uncertainty of conditional returns, volatilities and correlations in DCC models," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 170-185.
  47. Adam Clements & Ayesha Scott & Annastiina Silvennoinen, 2019. "Volatility-dependent correlations: further evidence of when, where and how," Empirical Economics, Springer, vol. 57(2), pages 505-540, August.
  48. Wang, Zihe & Li, Johnny Siu-Hang, 2016. "A DCC-GARCH multi-population mortality model and its applications to pricing catastrophic mortality bonds," Finance Research Letters, Elsevier, vol. 16(C), pages 103-111.
  49. Francq, C. & Jiménez-Gamero, M.D. & Meintanis, S.G., 2017. "Tests for conditional ellipticity in multivariate GARCH models," Journal of Econometrics, Elsevier, vol. 196(2), pages 305-319.
  50. Dwita Mariana, Christy & Ekaputra, Irwan Adi & Husodo, Zaäfri Ananto, 2021. "Are Bitcoin and Ethereum safe-havens for stocks during the COVID-19 pandemic?," Finance Research Letters, Elsevier, vol. 38(C).
  51. Timo Dimitriadis & Yannick Hoga, 2022. "Dynamic CoVaR Modeling," Papers 2206.14275, arXiv.org, revised Feb 2024.
  52. Caporin, Massimiliano & Jimenez-Martin, Juan-Angel & Gonzalez-Serrano, Lydia, 2014. "Currency hedging strategies in strategic benchmarks and the global and Euro sovereign financial crises," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 31(C), pages 159-177.
  53. Xie, Xiaoyu & Zhu, Heliang, 2021. "The role of gold futures in mitigating the impact of economic uncertainty on spot prices: Evidence from China," Research in International Business and Finance, Elsevier, vol. 56(C).
  54. BAUWENS, Luc & BRAIONE, Manuela & STORTI, Giuseppe, 2016. "Multiplicative Conditional Correlation Models for Realized Covariance Matrices," LIDAM Discussion Papers CORE 2016041, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  55. Luc Bauwens & Edoardo Otranto, 2023. "Modeling Realized Covariance Matrices: A Class of Hadamard Exponential Models," Journal of Financial Econometrics, Oxford University Press, vol. 21(4), pages 1376-1401.
  56. Robert F. Engle & Olivier Ledoit & Michael Wolf, 2019. "Large Dynamic Covariance Matrices," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 37(2), pages 363-375, April.
  57. ÇELİK, İsmail, 2021. "Optimal Hedge Ratio In Turkish Stock Index Futures Market: A Deco-Fiaparch Approach," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 25(4), pages 17-33, December.
  58. Chia-Lin Chang & Yiying Li & Michael McAleer, 2018. "Volatility Spillovers between Energy and Agricultural Markets: A Critical Appraisal of Theory and Practice," Energies, MDPI, vol. 11(6), pages 1-19, June.
  59. Michael mcAleer, 2017. "Stationarity and Invertibility of a Dynamic Correlation Matrix," Tinbergen Institute Discussion Papers 17-082/III, Tinbergen Institute.
  60. Dong, Yingjie & Tse, Yiu-Kuen, 2020. "Forecasting large covariance matrix with high-frequency data using factor approach for the correlation matrix," Economics Letters, Elsevier, vol. 195(C).
  61. Changfeng Zhou & Huan Cai, 2020. "Optimal Hedging Strategies for Natural Gas," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 12(8), pages 1-1, August.
  62. Blot, Christophe & Creel, Jérôme & Hubert, Paul & Labondance, Fabien & Saraceno, Francesco, 2015. "Assessing the link between price and financial stability," Journal of Financial Stability, Elsevier, vol. 16(C), pages 71-88.
  63. Sun, Xiaolin & Haralambides, Hercules & Liu, Hailong, 2019. "Dynamic spillover effects among derivative markets in tanker shipping," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 122(C), pages 384-409.
  64. Maghyereh, Aktham I. & Awartani, Basel & Hilu, Khalil Al, 2015. "Dynamic transmissions between the U.S. and equity markets in the MENA countries: New evidence from pre- and post-global financial crisis," The Quarterly Review of Economics and Finance, Elsevier, vol. 56(C), pages 123-138.
  65. Ahmet Sensoy & Duc Khuong Nguyen & Ahmed Rostom & Erk Hacihasanoglu, 2019. "Dynamic integration and network structure of the EMU sovereign bond markets," Annals of Operations Research, Springer, vol. 281(1), pages 297-314, October.
  66. Maximilian-Benedikt Herwarth Kohn & Pedro L. Valls Pereira, 2017. "Speculative bubbles and contagion: Analysis of volatility’s clusters during the DotCom bubble based on the dynamic conditional correlation model," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1411453-141, January.
  67. Jean-David Fermanian & Hassan Malongo, 2013. "On the Stationarity of Dynamic Conditional Correlation Models," Working Papers 2013-26, Center for Research in Economics and Statistics.
  68. Sensoy, Ahmet & Tabak, Benjamin M., 2014. "Dynamic spanning trees in stock market networks: The case of Asia-Pacific," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 414(C), pages 387-402.
  69. Massimiliano Caporin & Riccardo (Jack) Lucchetti & Giulio Palomba, 2020. "Analytical Gradients of Dynamic Conditional Correlation Models," JRFM, MDPI, vol. 13(3), pages 1-21, March.
  70. Pragidis, I.C. & Aielli, G.P. & Chionis, D. & Schizas, P., 2015. "Contagion effects during financial crisis: Evidence from the Greek sovereign bonds market," Journal of Financial Stability, Elsevier, vol. 18(C), pages 127-138.
  71. Anne Péguin-Feissolle & Bilel Sanhaji, 2015. "Testing the Constancy of Conditional Correlations in Multivariate GARCH-type Models (Extended Version with Appendix)," AMSE Working Papers 1516, Aix-Marseille School of Economics, France.
  72. İrfan Civcir & Uğur Akkoç, 2021. "Dynamic volatility linkages and hedging between commodities and sectoral stock returns in Turkey: Evidence from SVAR‐cDCC‐GARCH model," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 1978-1992, April.
  73. Massimiliano Caporin & Michael McAleer, 2013. "Ten Things you should know about DCC," Tinbergen Institute Discussion Papers 13-048/III, Tinbergen Institute.
  74. Lim, Jamus Jerome, 2020. "The political economy of fiscal procyclicality," European Journal of Political Economy, Elsevier, vol. 65(C).
  75. Mustafa Hakan Eratalay & Ariana Paola Cortés Ángel, 2022. "The Impact of ESG Ratings on the Systemic Risk of European Blue-Chip Firms," JRFM, MDPI, vol. 15(4), pages 1-41, March.
  76. Christian M. Hafner & Michael McAleer, 2014. "A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process," Tinbergen Institute Discussion Papers 14-087/III, Tinbergen Institute.
  77. Morana, Claudio, 2019. "Regularized semiparametric estimation of high dimensional dynamic conditional covariance matrices," Econometrics and Statistics, Elsevier, vol. 12(C), pages 42-65.
  78. Shimada, Junji & Tsukuda, Yoshihiko & Miyakoshi, Tatsuyoshi, 2021. "Who is the center of local currency Asian government bond markets?," Japan and the World Economy, Elsevier, vol. 59(C).
  79. Jammazi, Rania & Ferrer, Román & Jareño, Francisco & Shahzad, Syed Jawad Hussain, 2017. "Time-varying causality between crude oil and stock markets: What can we learn from a multiscale perspective?," International Review of Economics & Finance, Elsevier, vol. 49(C), pages 453-483.
  80. Bollerslev, Tim & Patton, Andrew J. & Quaedvlieg, Rogier, 2020. "Multivariate leverage effects and realized semicovariance GARCH models," Journal of Econometrics, Elsevier, vol. 217(2), pages 411-430.
  81. Souhir, Ben Amor & Heni, Boubaker & Lotfi, Belkacem, 2019. "Price risk and hedging strategies in Nord Pool electricity market evidence with sector indexes," Energy Economics, Elsevier, vol. 80(C), pages 635-655.
  82. Gian Piero Aielli & Massimiliano Caporin, 2015. "Dynamic Principal Components: a New Class of Multivariate GARCH Models," "Marco Fanno" Working Papers 0193, Dipartimento di Scienze Economiche "Marco Fanno".
  83. Bauwens, Luc & Grigoryeva, Lyudmila & Ortega, Juan-Pablo, 2016. "Estimation and empirical performance of non-scalar dynamic conditional correlation models," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 17-36.
  84. Lin, Ling & Zhou, Zhongbao & Liu, Qing & Jiang, Yong, 2019. "Risk transmission between natural gas market and stock markets: portfolio and hedging strategy analysis," Finance Research Letters, Elsevier, vol. 29(C), pages 245-254.
  85. Abdul Aziz, Nor Syahilla & Vrontos, Spyridon & M. Hasim, Haslifah, 2019. "Evaluation of multivariate GARCH models in an optimal asset allocation framework," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 568-596.
  86. Stefano Grassi & Francesco Violante, 2021. "Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas," CREATES Research Papers 2021-05, Department of Economics and Business Economics, Aarhus University.
  87. Akkoc, Ugur & Civcir, Irfan, 2019. "Dynamic linkages between strategic commodities and stock market in Turkey: Evidence from SVAR-DCC-GARCH model," Resources Policy, Elsevier, vol. 62(C), pages 231-239.
  88. Boudt, Kris & Laurent, Sébastien & Lunde, Asger & Quaedvlieg, Rogier & Sauri, Orimar, 2017. "Positive semidefinite integrated covariance estimation, factorizations and asynchronicity," Journal of Econometrics, Elsevier, vol. 196(2), pages 347-367.
  89. He, Zhongfang, 2018. "A Class of Generalized Dynamic Correlation Models," MPRA Paper 84820, University Library of Munich, Germany.
  90. Turhan, M. Ibrahim & Sensoy, Ahmet & Hacihasanoglu, Erk, 2014. "A comparative analysis of the dynamic relationship between oil prices and exchange rates," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 32(C), pages 397-414.
  91. Adam Clements & Ayesha Scott & Annastiina Silvennoinen, 2016. "Volatility Dependent Dynamic Equicorrelation," NCER Working Paper Series 111, National Centre for Econometric Research.
  92. Zhou, Jian, 2014. "Modeling conditional covariance for mixed-asset portfolios," Economic Modelling, Elsevier, vol. 40(C), pages 242-249.
  93. Al-Yahyaee, Khamis Hamed & Mensi, Walid & Sensoy, Ahmet & Kang, Sang Hoon, 2019. "Energy, precious metals, and GCC stock markets: Is there any risk spillover?," Pacific-Basin Finance Journal, Elsevier, vol. 56(C), pages 45-70.
  94. Aslanidis, Nektarios & Martinez, Oscar, 2021. "Correlation regimes in international equity and bond returns," Economic Modelling, Elsevier, vol. 97(C), pages 397-410.
  95. Jiang, Yifu & Olmo, Jose & Atwi, Majed, 2024. "Dynamic robust portfolio selection under market distress," The North American Journal of Economics and Finance, Elsevier, vol. 69(PB).
  96. Marco Tronzano, 2021. "Financial Crises, Macroeconomic Variables, and Long-Run Risk: An Econometric Analysis of Stock Returns Correlations (2000 to 2019)," JRFM, MDPI, vol. 14(3), pages 1-25, March.
  97. Mimouni, Karim & Charfeddine, Lanouar & Al-Azzam, Moh'd, 2016. "Do oil producing countries offer international diversification benefits? Evidence from GCC countries," Economic Modelling, Elsevier, vol. 57(C), pages 263-280.
  98. Li, Jianglong & Xie, Chunping & Long, Houyin, 2019. "The roles of inter-fuel substitution and inter-market contagion in driving energy prices: Evidences from China’s coal market," Energy Economics, Elsevier, vol. 84(C).
  99. Guglielmo Maria Caporale & Stavroula Yfanti & Menelaos Karanasos & Jiaying Wu, 2024. "Financial integration and European tourism stocks," Chapters, in: Guglielmo M. Caporale (ed.), Handbook of Financial Integration, chapter 21, pages 495-538, Edward Elgar Publishing.
  100. Kliber, Agata, 2022. "Looking for a safe haven against American stocks during COVID-19 pandemic," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
  101. Francq, Christian & Zakoian, Jean-Michel, 2015. "Joint inference on market and estimation risks in dynamic portfolios," MPRA Paper 68100, University Library of Munich, Germany.
  102. Trancoso, Tiago, 2014. "Emerging markets in the global economic network: Real(ly) decoupling?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 395(C), pages 499-510.
  103. Nikolaus Hautsch & Ostap Okhrin & Alexander Ristig, 2023. "Maximum-Likelihood Estimation Using the Zig-Zag Algorithm," Journal of Financial Econometrics, Oxford University Press, vol. 21(4), pages 1346-1375.
  104. Llorens-Terrazas, Jordi & Brownlees, Christian, 2023. "Projected Dynamic Conditional Correlations," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1761-1776.
  105. Sang Hoon Kang & Seong-Min Yoon & Stelios Bekiros & Gazi S. Uddin, 2020. "Bitcoin as Hedge or Safe Haven: Evidence from Stock, Currency, Bond and Derivatives Markets," Computational Economics, Springer;Society for Computational Economics, vol. 56(2), pages 529-545, August.
  106. Salim Hamza Ringim & Abdulkareem Alhassan & Hasan Güngör & Festus Victor Bekun, 2022. "Economic Policy Uncertainty and Energy Prices: Empirical Evidence from Multivariate DCC-GARCH Models," Energies, MDPI, vol. 15(10), pages 1-18, May.
  107. Ahmet Sensoy, 2016. "Impact of sovereign rating changes on stock market co-movements: the case of Latin America," Applied Economics, Taylor & Francis Journals, vol. 48(28), pages 2600-2610, June.
  108. Crawley, Andrew & Welch, Sarah & Yung, Julieta, 2021. "Improving estimates of job matching efficiency with different measures of unemployment," Journal of Macroeconomics, Elsevier, vol. 67(C).
  109. Christophe Hurlin & Sébastien Laurent & Rogier Quaedvlieg & Stephan Smeekes, 2017. "Risk Measure Inference," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(4), pages 499-512, October.
  110. M. Raddant & T. Di Matteo, 2023. "A look at financial dependencies by means of econophysics and financial economics," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 18(4), pages 701-734, October.
  111. Grigoryeva, Lyudmila & Ortega, Juan-Pablo & Peresetsky, Anatoly, 2018. "Volatility forecasting using global stochastic financial trends extracted from non-synchronous data," Econometrics and Statistics, Elsevier, vol. 5(C), pages 67-82.
  112. Gu, Huaying & Liu, Zhixue & Weng, Yingliang, 2017. "Time-varying correlations in global real estate markets: A multivariate GARCH with spatial effects approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 460-472.
  113. Tareq Saeed & Elie Bouri & Dang Khoa Tran, 2020. "Hedging Strategies of Green Assets against Dirty Energy Assets," Energies, MDPI, vol. 13(12), pages 1-17, June.
  114. Tsuji, Chikashi, 2020. "Correlation and spillover effects between the US and international banking sectors: New evidence and implications for risk management," International Review of Financial Analysis, Elsevier, vol. 70(C).
  115. Adams, Zeno & Füss, Roland & Glück, Thorsten, 2017. "Are correlations constant? Empirical and theoretical results on popular correlation models in finance," Journal of Banking & Finance, Elsevier, vol. 84(C), pages 9-24.
  116. Fortin, Alain-Philippe & Simonato, Jean-Guy & Dionne, Georges, 2023. "Forecasting expected shortfall: Should we use a multivariate model for stock market factors?," International Journal of Forecasting, Elsevier, vol. 39(1), pages 314-331.
  117. Lin, Ling & Zhou, Zhongbao & Jiang, Yong & Ou, Yangchen, 2021. "Risk spillovers and hedge strategies between global crude oil markets and stock markets: Do regime switching processes combining long memory and asymmetry matter?," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
  118. Li, Jianglong & Xie, Chunping & Long, Houyin, 2019. "The roles of inter-fuel substitution and inter-market contagion in driving energy prices: evidences from China’s coal market," LSE Research Online Documents on Economics 102540, London School of Economics and Political Science, LSE Library.
  119. Sensoy, Ahmet & Eraslan, Veysel & Erturk, Mutahhar, 2016. "Do sovereign rating announcements have an impact on regional stock market co-movements? The case of Central and Eastern Europe," Economic Systems, Elsevier, vol. 40(4), pages 552-567.
  120. Xiaochun Liu, 2018. "Structural Volatility Impulse Response Function and Asymptotic Inference," Journal of Financial Econometrics, Oxford University Press, vol. 16(2), pages 316-339.
  121. Sucarrat, Genaro, 2018. "The Log-GARCH Model via ARMA Representations," MPRA Paper 100386, University Library of Munich, Germany.
  122. Trucíos, Carlos & Hotta, Luiz K. & Valls Pereira, Pedro L., 2019. "On the robustness of the principal volatility components," Journal of Empirical Finance, Elsevier, vol. 52(C), pages 201-219.
  123. Sensoy, Ahmet, 2013. "Dynamic relationship between precious metals," Resources Policy, Elsevier, vol. 38(4), pages 504-511.
  124. Li, Leon & Miu, Peter, 2023. "Are cryptocurrencies a safe haven for stock investors? A regime-switching approach," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 367-385.
  125. Naji Jalkh & Elie Bouri & Xuan Vinh Vo & Anupam Dutta, 2021. "Hedging the risk of travel and leisure stocks: The role of crude oil," Tourism Economics, , vol. 27(7), pages 1337-1356, November.
  126. Krzysztof Echaust & Małgorzata Just, 2021. "Tail Dependence between Crude Oil Volatility Index and WTI Oil Price Movements during the COVID-19 Pandemic," Energies, MDPI, vol. 14(14), pages 1-21, July.
  127. Mila Andreani & Vincenzo Candila & Giacomo Morelli & Lea Petrella, 2021. "Multivariate Analysis of Energy Commodities during the COVID-19 Pandemic: Evidence from a Mixed-Frequency Approach," Risks, MDPI, vol. 9(8), pages 1-20, August.
  128. Anne Opschoor & André Lucas & István Barra & Dick van Dijk, 2021. "Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(4), pages 1066-1079, October.
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